When you've just dropped a wad of your hard-earned cash on a new MP3 player, purchasing an accessory to help make the most of it may seem counter-intuitive, but that's exactly what you should do: upgrade those headphones. You needn't spend a lot to get a pair that's a noticeable improvement over the stock set that came with your device.
Case in point: the Sony MDR-EX36V Stereo Headphones. These earphones will set you back only about $25, and they offer a sharp improvement in sound quality and comfort. The construction quality isn't the best, and high frequencies come across as too brittle, but the low price and handy features make it easy to forgive these shortcomings.